How can I use 'create new collection' command?
This is more or less a remnant of old functionality from 2.79 and before that doesn't make sense in Blender 2.8. The developers are aware of the issue, multiple bug reports have been filed regarding the odd behavior.

If you want to create a new collection in the current scene use the M shortcut and select New collection. This will also move all selected objects to that new collection. If you just want to create an empty new collection with the shortcut, make sure that no object is selected.